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Primary care patients and clinicians may prefer options other than second-generation antidepressants for the treatment of major depressive disorder (MDD). The comparative benefits and harms of antidepressants and alternative treatments are unclear.To compare the benefits and harms of second-generation antidepressants and psychological, complementary and alternative medicine (CAM), and exercise treatments as first- and second-step interventions for adults with acute MDD.English-, German-, and Italian-language studies from multiple electronic databases (January 1990 to September 2015); trial registries and gray-literature databases were used to identify unpublished research.Two investigators independently selected comparative randomized trials of at least 6 weeks' duration on health outcomes of adult outpatients; nonrandomized studies were eligible for harms.Reviewers abstracted data on study design, participants, interventions, and outcomes; rated the risk of bias; and graded the strength of evidence. A senior reviewer confirmed data and ratings.45 trials met inclusion criteria. On the basis of moderate-strength evidence, cognitive behavioral therapy (CBT) and antidepressants led to similar response rates (relative risk [RR], 0.90 [95% CI, 0.76 to 1.07]) and remission rates (RR, 0.98 [CI, 0.73 to 1.32]). In trials, antidepressants had higher risks for adverse events than most other treatment options; no information from nonrandomized studies was available. The evidence was too limited to make firm conclusions about differences in the benefits and harms of antidepressants compared with other treatment options as first-step therapies for acute MDD. For second-step therapies, different switching and augmentation strategies provided similar symptom relief.High dropout rates, dosing inequalities, small sample sizes, and poor assessment of adverse events limit confidence in the evidence.Given their similar efficacy, CBT and antidepressants are both viable choices for initial treatment of MDD.Agency for Healthcare Research and Quality.